On the integrated mean squared error of wavelet density estimation for linear processes

Aleksandr Beknazaryan, Hailin Sang, Peter Adamic

Let $\{X_n:n\in \mathbb{N}\}$ be a linear process with density function $f(x)\in L^2(\mathbb{R})$. We study wavelet density estimation of $f(x)$. Under some regular conditions on the characterist…